Dynamic Lifecycle Strategies for Target Date Retirement Funds

ABSTRACT Target date funds (TDFs) are becoming increasingly popular investment choices among investors with long-term prospects. Examples include members of superannuation funds seeking to save for retirement at a given age. TDFs provide efficient risk exposures to a diversified range of asset classes that dynamically match the risk profile of the investment payoff as the investors age. This is often achieved by making increasingly conservative asset allocations over time as the retirement date approaches. Such dynamically evolving allocation strategies for TDFs are often referred to as glide paths. We propose a systematic approach to the design of optimal TDF glide paths implied by retirement dates and risk preferences and construct the corresponding dynamic asset allocation strategy that delivers the optimal payoffs at minimal costs. The TDF strategies we propose are dynamic portfolios consisting of units of the growth-optimal portfolio (GP) and the risk-free asset. Here, the GP is often approximated by a well-diversified index of multiple risky assets. We backtest the TDF strategies with the historical returns of the S&P500 total return index serving as the GP approximation.

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Toward ATM Resiliency: A Deep CNN to Predict Number of Delayed Flights and ATFM Delay

Aerospace ◽

10.3390/aerospace8020028 ◽

2021 ◽

Vol 8 (2) ◽

pp. 28

Author(s):

Rasoul Sanaei ◽

Brian Alphonse Pinto ◽

Volker Gollnick

Keyword(s):

Traffic Management ◽

Situational Awareness ◽

Air Traffic Management ◽

Percentage Error ◽

Operational Flexibility ◽

Target Date ◽

Deep Cnn ◽

Stochastic Events ◽

Demand And Capacity ◽

Total Network

The European Air Traffic Management Network (EATMN) is comprised of various stakeholders and actors. Accordingly, the operations within EATMN are planned up to six months ahead of target date (tactical phase). However, stochastic events and the built-in operational flexibility (robustness), along with other factors, result in demand and capacity imbalances that lead to delayed flights. The size of the EATMN and its complexity challenge the prediction of the total network delay using analytical methods or optimization approaches. We face this challenge by proposing a deep convolutional neural network (DCNN), which takes capacity regulations as the input. DCNN architecture successfully improves the prediction results by 50 percent (compared to random forest as the baseline model). In fact, the trained model on 2016 and 2017 data is able to predict 2018 with a mean absolute percentage error of 22% and 14% for the delay and delayed traffic, respectively. This study presents a method to provide more accurate situational awareness, which is a must for the topic of network resiliency.

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